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Testing for time variation in the natural rate of interest*

* This paper is a replication of an original study

Author

Listed:
  • Tino Berger
  • Bernd Kempa
Abstract
This paper replicates in a wider sense the unobserved components model of Laubach and Williams (Review of Economics and Statistics, 2003, 85, 1063–1070) to estimate the natural rate of interest (NRI) and investigates the role of model uncertainty. A stochastic Bayesian model selection procedure is employed to test the hypothesis of time variation in the NRI against a constant NRI. The model selection confirms time variation in the NRI as a result of changes in potential output growth, but other determinants of the NRI are found constant.

Suggested Citation

  • Tino Berger & Bernd Kempa, 2019. "Testing for time variation in the natural rate of interest," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 836-842, August.
    • Handle: RePEc:wly:japmet:v:34:y:2019:i:5:p:836-842
    DOI: 10.1002/jae.2698
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    File URL: https://doi.org/10.1002/jae.2698
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    Citations

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    Cited by:

    1. Buncic, Daniel, 2024. "Econometric issues in the estimation of the natural rate of interest," Economic Modelling, Elsevier, vol. 132(C).
    2. Berger, Tino & Ochsner, Christian, 2024. "A note on the synchronisation of the natural rates of interest in Germany and the Euro Area," Working Papers 03/2024, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung.

    Replication

    This item is a replication of:
  • Thomas Laubach & John C. Williams, 2003. "Measuring the Natural Rate of Interest," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1063-1070, November.

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    1. Testing for time variation in the natural rate of interest (Journal of Applied Econometrics 2019) in ReplicationWiki

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